This paper presents mean-variance portfolio optimisation as a regression problem. More specifically, we examine different types of mean-variance analysis as a series of related regression models. We use these models to leverage the variety of inference available from least squares regression and...

A popular risk measure, conditional value-at-risk (CVaR), is called expected shortfall (ES) in financial applications. The research presented involved developing algorithms for the implementation of linear regression for estimating CVaR as a function of some factors. Such regression is called...